Optimal Investment Portfolio with Respect to the Term Structure of the Risk-Return Tradeoff

• Název práce v češtině: Optimal Investment Portfolio with Respect to the ; Term Structure of the Risk-Return Tradeoff
• Název v anglickém jazyce: Optimal Investment Portfolio with Respect to the ; Term Structure of the Risk-Return Tradeoff
• Klíčová slova: Term structure of risk-return tradeoff, predictability of asset returns, vector autoregressive model, optimal portfolio, pension funds
• Klíčová slova anglicky: Optimal Investment Portfolio with Respect to the Term Structure of the Risk-Return Tradeoff
• Akademický rok vypsání: 2010/2011
• Typ práce: diplomová práce
• Jazyk práce: angličtina
• Ústav: Institut ekonomických studií (23-IES)
• Vedoucí / školitel: PhDr. Mgr. Milan Rippel
• Řešitel: skrytý - zadáno vedoucím/školitelem
• Datum přihlášení: 20.11.2010
• Datum zadání: 20.11.2010
• Datum a čas obhajoby: 21.06.2011 00:00
• Místo konání obhajoby: IES
• Datum odevzdání elektronické podoby: 17.05.2011
• Datum proběhlé obhajoby: 21.06.2011
• Oponenti: RNDr. Michal Červinka, Ph.D.

Seznam odborné literatury

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2. Avramov, D. (2002): „Stock Return Predictability and Asset Pricing Models“ The Robert H. Smith School of Business University of Maryland
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6. Brown, S.J. & Goetzmann, W.N. & Ibbotson, R.G. (1998): „Offshore Hedge Funds: Survival & Performance 1989-1995“ NYU Working Paper No. FIN-98-011. Available at SSRN: http://ssrn.com/abstract=1296406
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9. Campbell, J.Y. & Viceira, L.M. (2005): „ The Term Structure of the Risk-Return Tradeoff“ Financial Analysts Journal, Vol. 61, No.1
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11. Chan, K.C. & Hendershott P.H. & Sanders A.B. (1990): „ Risk and return on Real Estate: Evidence from Equity REITs“ AREUEA Journal, Vol. 18, No. 4, pp. 431-452
12. Dupačová, J. & Polívka J.(2004): „ Asset-Liability Management for Czech pension funds, Department of Probability and mathematical Statistics Charles University Prague, Humboldt University Berlin, 31p
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14. Fama E.F. & French K.R. (1992): „Common risk factors in the returns on stocks and bonds“ Journal of Financial Economics, Vol. 33, pp. 3-56
15. Ferson, W.E. & Harvey, C.R. (1993); „ The Risk and Predictability of International Equity Returns“ The Review of Financial Studies, Vol. 6, No. 3, pp. 527-566
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Předběžná náplň práce

Má diplomová práce se bude zabývat investičním rozhodováním, zvláště pak těch, které mají delší časový horizont. V empirické části práce ukáži, že změny v investičních příležitostech mohou v průběhu času změnit čsovou strukturu rizika a očekávané výnosnosti a že předvídatelnost návratnoti aktiv má napříč investičními horizonty důležitý vliv na rozptyl a korelaci u dluhopisů, akcií a pokladničních poukázek. Hlavní pozornost bude věnována penzijním fondům, tedy institucionálním investorům s relativně dlouhým časovým horizontem. Pokusím se najít optimální portfolio s ohledem na časovou strukturu rizika, návratnosti investic a toleranci rizika investora. Později se pokusím zjistit, zda české penzijní fondy používají vhodnou investiční strategii vzhledem k časové struktuře rizika. Data k výpočtům získám především z Thomson Reuters Datastream, Wharton Research Data Services a dodatečně z některých dalších zdrojů.

Předběžná náplň práce v anglickém jazyce

My thesis will focus on optimal investment decisions, especially those that are planned for longer investment horizon. I will show that changes in investment opportunities can alter the risk-return tradeoff over time and that asset return predictability has an important effect on the variance and correlation structure of returns on bonds, stocks and T bills across investment horizons. The main attention will be given to pension funds, which are institutional investors with relatively long investment horizon. I will try to find optimal portfolio allocation with respect to the term structure of the risk-return tradeoff. Later on I will investigate whether Czech pension funds use appropriate investment strategy with respect to the term structure of risk-return tradeoff. I am going to use data from the Thomson Reuters Datastream, Wharton Research Data Services and additionally from some other sources.